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Lenses in Skew Brownian Flow

Krzysztof Burdzy·Haya Kaspi
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Abstract

We consider a stochastic flow in which individual particles follow skew Brownian motions, with each one of these processes driven by the same Brownian motion. One does not have uniqueness for the solutions of the corresponding stochastic differential equation simultaneously for all real initial conditions. Due to this lack of the simultaneous strong uniqueness for the whole system of stochastic differential equations, the flow contains lenses, that is, pairs of skew Brownian motions which start at the same point, bifurcate, and then coalesce in a finite time. The paper contains qualitative and quantitative (distributional) results on the geometry of the flow and lenses.

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Krzysztof Burdzy, Haya Kaspi. 2005-03-25. Lenses in Skew Brownian Flow. https://doi.org/10.1214/009117904000000711

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